Thanks to Leaf at XNA UK User Group and Jon Watte for your help with this I am sure this will help many others in there XNA development. Jon's shader also has the ability to specify the height of the fog and so giving a much richer fog effect, nice...

If you have any interest in the discussions we had then take a look here or the comments on this post.

Leaf has also put up an example of Jon's shader in action and you can find that here.